Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0035
Annualized Std Dev 0.2005
Annualized Sharpe (Rf=0%) -0.0175

Row

Daily Return Statistics

Close
Observations 4360.0000
NAs 1.0000
Minimum -0.1443
Quartile 1 -0.0033
Median 0.0000
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0040
Maximum 0.3268
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0004
Variance 0.0002
Stdev 0.0126
Skewness 3.1093
Kurtosis 128.8692

Downside Risk

Close
Semi Deviation 0.0087
Gain Deviation 0.0114
Loss Deviation 0.0111
Downside Deviation (MAR=210%) 0.0131
Downside Deviation (Rf=0%) 0.0087
Downside Deviation (0%) 0.0087
Maximum Drawdown 0.6345
Historical VaR (95%) -0.0131
Historical ES (95%) -0.0279
Modified VaR (95%) NA
Modified ES (95%) -0.5224
From Trough To Depth Length To Trough Recovery
2007-05-08 2008-12-16 NA -0.6345 3493 408 NA
2004-03-18 2004-06-23 2005-05-09 -0.1442 288 67 221
2006-06-05 2006-06-28 2006-11-06 -0.0562 109 18 91
2005-09-13 2005-12-12 2006-01-10 -0.0473 83 64 19
2006-03-24 2006-04-21 2006-05-09 -0.0369 32 20 12

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2003 NA NA NA NA NA NA NA NA NA NA 0.3 1.2 1.5
2004 1.5 -0.3 -0.2 -0.4 -0.3 -0.4 0.9 0.5 0.5 0.1 -0.6 0.2 1.5
2005 0.3 -0.3 0.1 1.3 0.3 0.5 0.2 0.3 0.8 0.5 0.3 -0.1 4.2
2006 0.2 0.3 -0.2 0.4 0.4 0.4 0.4 0.2 -0.3 -0.1 -0.4 -0.4 0.8
2007 -0.3 -0.2 0.2 -0.8 -0.7 0.4 0.1 0 0 0.5 -1.7 2.8 0.2
2008 0.5 -0.5 0.3 0 0.7 0.9 -0.7 0.6 -5.4 1.8 -5.3 7.7 0.3
2009 -0.9 -0.7 -0.2 2.6 1 0.4 0.7 0.4 0.1 -0.7 0.2 0.5 3.4
2010 1 0.6 0.4 -0.1 0.7 0.4 0.5 -0.1 0.2 -0.5 0.4 1.9 5.4
2011 1 -0.2 0.9 0.6 -0.5 0.2 1.2 -0.3 0.7 -0.9 0.2 -0.3 2.6
2012 0.2 -0.1 0.6 1 0.1 0.1 -0.6 0.8 -0.7 0.4 0.6 1 3.6
2013 0.7 0.1 0.2 -0.2 -2.1 0.3 -0.9 0 1 -0.9 0.5 0.4 -0.8
2014 0.5 -0.4 -0.2 0.5 -0.8 -0.2 0.4 0.2 0.2 -0.2 0.4 -0.2 0.1
2015 0.4 0.9 0 -0.4 0.1 0 -0.2 0.6 0.8 0.7 0.4 0.3 3.4
2016 0.8 0 0.5 0.1 0.5 0.5 0.5 -0.3 0.3 0.6 -0.9 0.5 3.1
2017 -0.1 -0.2 -0.1 0.1 0.1 -0.1 -0.1 0.1 0.5 0 0.9 0 1.1
2018 0.2 -0.5 0 0.4 -0.4 0.4 0.1 0 0.5 -0.3 -0.3 1.2 1.2
2019 0.4 -1 0.1 0.5 0.5 0.6 0 0.1 -0.1 -0.1 0.7 0 1.7
2020 0.1 -3.2 -6.7 0.9 0.4 0.8 0.1 0.4 -0.1 -0.2 0.1 1.2 -6.3
2021 0.3 0.7 0.3 NA NA NA NA NA NA NA NA NA 1.3

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart